<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM 10-K
(Mark One)
[X] ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the fiscal year ended June 30, 1997
-------------
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from ___________________ to _____________________
Commission file numbers 33-99458; 333-10185; and 333-21219
AAMES CAPITAL CORPORATION
(Exact name of Registrant as specified in its charter)
California 95-4438859
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
350 South Grand Avenue
Los Angeles, California 90071
(Address of principal executive offices) (ZIP Code)
(213) 640-5000
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
Name of each exchange on
Title of each class which registered
None Not Applicable
Securities registered pursuant to Section 12(g) of the Act:
None
(Title of Class)
Registrant is filing this Annual Report on Form 10-K in a reduced disclosure
format pursuant to a No-Action Letter issued to Aames Capital Corporation, dated
May 5, 1994.
Indicate by check mark whether the Registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes [X] No [ ]
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of the Registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10K. [X]
State the aggregate market value of the voting stock held by non-affiliates of
the Registrant.
Not applicable.
Indicate the number of shares outstanding of each of the Registrant's classes of
common stock, as of the last practicable date.
Not applicable.
DOCUMENTS INCORPORATED BY REFERENCE
No annual report to securityholders, proxy or information statement or
prospectus filed pursuant to Rule 424(b) or (c) under the Securities Act of
1933 is incorporated herein by reference.
<PAGE> 2
PART I
ITEM 1. BUSINESS.
Not applicable.*
ITEM 2. PROPERTIES.
Not applicable.
ITEM 3. LEGAL PROCEEDINGS.
There are no material pending legal proceedings concerning the Trusts,
any Trustee, the Servicer or the Registrant with respect to the Trusts,
other than ordinary routine litigation incidental to the duties of the
Trustee or the Servicer under the related Pooling and Servicing
Agreement.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No matter was submitted to a vote of Certificateholders and no
Certificateholder consent was solicited during the fiscal year covered
by this report.
PART II
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS.
There is no established public trading market for the Registrant's
Mortgage Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C,
1996-D, 1997-A and 1997-B.
As of June 30, 1997, there was one (1) holder of record of each of
Registrant's publicly registered Mortgage Pass-Through Certificates,
Series 1996-A, 1996-B, 1996-C, 1996-D, 1997-A and 1997-B as the
certificates are issued in book-entry form.
None of the Trusts pays dividends. Information as to distributions to
Certificateholders is provided in Registrant's monthly Form 8-K filings.
ITEM 6. SELECTED FINANCIAL DATA.
Not Applicable.
- ------------------------
* Registrant is exempted from providing certain information called
for by this and other Items pursuant to a No-Action Letter issued to Aames
Capital Corporation, dated May 5, 1994. Such exempted items have been designated
herein as "Not applicable."
2
<PAGE> 3
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS.
Not applicable.
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.
Not applicable.
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE.
None.
PART III
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.
Not applicable.
ITEM 11. EXECUTIVE COMPENSATION.
Not applicable.
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.
Not applicable.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.
Not applicable.
PART IV
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K.
(a) List of documents filed as part of this report.
3.1. Registrant's Articles of Incorporation (incorporated herein by reference
to Exhibit 3.1 to Registrant's Registration Statement on Form S-11 filed
October 21, 1993)
3.2. Registrant's By-laws (incorporated herein by reference to Exhibit 3.2 to
Registrant's Registration Statement on Form S-11 filed October 21, 1993)
3
<PAGE> 4
4.1 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, dated March 1, 1996
(incorporated by reference to Exhibit 4.1 to Registrant's Current Report
on Form 8-K filed April 29, 1996)
4.2 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-B, dated June 1, 1996
(incorporated by reference to Exhibit 4.1 to Registrant's Current Report
on Form 8-K filed July 26, 1996)
4.3 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-C, dated September 1, 1996
(incorporated by reference to Exhibit 4.1 to Registrant's Current Report
on Form 8-K filed October 29, 1996)
4.4 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-D, dated December 1, 1996
(incorporated by reference to Exhibit 4.1 to Registrant's Current Report
on Form 8-K filed January 29, 1997)
4.5 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1997-A, dated March 1, 1997
(incorporated by reference to Exhibit 4.1 of Registrant's Current Report
on Form 8-K filed April 29, 1997)
4.6 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1997-B, dated June 1, 1997 (incorporated
by reference to Exhibit 4.1 to Registrant's Current Report on Form 8-K
filed July 29, 1997)
4.7 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, dated March 16, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current Report
on Form 8-K filed April 29, 1996)
4.8 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-B, dated June 27, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current Report
on Form 8-K filed July 26, 1996)
4.9 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-C, dated September 17, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current Report
on Form 8-K fileD September 29, 1996)
4.10 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-D, dated December 27, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current
Report on Form 8-K filed January 29, 1996)
28.1 Annual Statement of Compliance, dated September 26, 1997, for Registrant's
Mortgage Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D,
1997-A and 1997-B
28.2 Report of Price Waterhouse LLP, dated August 25, 1997, on Compliance with
the Uniform Single Attestation Program for Mortgage Bankers
4
<PAGE> 5
28.3 Report Aggregating Certain Monthly Information to Certificateholders
with respect to Registrant's Mortgage Pass-Through Certificates,
Series 1996-A, 1996-B, 1996-C 1996-D, 1997-A and 1997-B.
(b) Reports on Form 8-K.
During the last quarter of the fiscal year ended June 30, 1997, the
Registrant filed the following reports on Form 8-K:
1. Current Report on Form 8-K dated April 18, 1997 attaching monthly
Statements to Certificateholders for Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D
and 1997-A.
2. Current Report on Form 8-K dated May 15, 1997 attaching monthly
Statements to Certificateholders for Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C, 1996-D
and 1997-A.
3. Current Report on Form 8-K dated June 25, 1997 attaching monthly
Statements to Certificateholders for Registrant's Mortgage
Pass-Through Certificates, Series, 1996-A, 1996-B, 1996-C, 1996-D
and 1997-A.
(c) Exhibits required by Item 601 of Regulation S-K.
Described in subparagraph (a).
(d) Financial Statements.
Not applicable.
5
<PAGE> 6
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, Aames Capital Corporation has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
AAMES CAPITAL CORPORATION
Dated: September 26, 1997 By: /s/ Mark E. Elbaum
-------------------
Mark E. Elbaum
Senior Vice President-
Finance
6
<PAGE> 7
SUPPLEMENTAL INFORMATION TO BE FURNISHED WITH REPORTS
FILED PURSUANT TO SECTION 15(d) BY REGISTRANTS
WHICH HAVE NOT REGISTERED SECURITIES
PURSUANT TO SECTION 12 OF THE ACT
No annual or proxy material has been
sent to Certificateholders
7
<PAGE> 8
EXHIBIT INDEX
EXHIBIT DOCUMENT
3.1. Registrant's Articles of Incorporation (incorporated herein by
reference to Exhibit 3.1 to Registrant's Registration Statement on
Form S-11 filed October 21, 1993)
3.2. Registrant's By-laws (incorporated herein by reference to Exhibit
3.2 to Registrant's Registration Statement on Form S-11 filed
October 21, 1993)
4.1 Pooling and Servicing Agreement with respect to Registrant's
Mortgage Pass-Through Certificates, Series 1996-A, dated March 1,
1996 (incorporated by reference to Exhibit 4.1 to Registrant's
Current Report on Form 8-K filed April 29, 1996)
4.2 Pooling and Servicing Agreement with respect to Registrant's
Mortgage Pass-Through Certificates, Series 1996-B, dated June 1,
1996 (incorporated by reference to Exhibit 4.1 to Registrant's
Current Report on Form 8-K filed July 26, 1996)
4.3 Pooling and Servicing Agreement with respect to Registrant's
Mortgage Pass-Through Certificates, Series 1996-C, dated September
1, 1996 (incorporated by reference to Exhibit 4.1 to Registrant's
Current Report on Form 8-K filed October 29, 1996)
4.4 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-D, dated December 1, 1996
(incorporated by reference to Exhibit 4.1 to Registrant's Current
Report on Form 8-K filed January 29, 1997)
4.5 Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1997-A, dated March 1, 1997
(incorporated by reference to Exhibit 4.1 to Registrant's Current Report
on Form 8-K filed April 29, 1997)
4.6 Pooling and Servicing Agreement with respect to Registrant's
Mortgage Pass-Through Certificates, Series 1996-B, dated June 1,
1997 (incorporated by reference to Exhibit 4.1 to Registrant's
Current Report on Form 8-K filed July 29, 1997)
4.7 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, dated March 16, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current Report
on Form 8-K filed April 29, 1996)
<PAGE> 9
4.8 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-B, dated June 27, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current Report
on Form 8-K filed July 26, 1996)
4.9 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-C, dated September 17, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current
Report on Form 8-K filed September 29, 1996)
4.10 Certificate Insurance Policy with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-D, dated December 27, 1996
(incorporated by reference to Exhibit 4.2 to Registrant's Current
Report on Form 8-K filed January 29, 1996)
28.1 Annual Statement of Compliance, dated September 26, 1997, for
Registrant's Mortgage Pass-Through Certificates, Series 1996-A,
1996-B, 1996-C, 1996-D, 1997-A and 1997-B
28.2 Report of Price Waterhouse LLP, dated August 25, 1997, on Compliance with
the Uniform Single Attestation Program for Mortgage Bankers
28.3 Report Aggregating Certain Monthly Information to Certificate-holders
with respect to Registrant's Mortgage Pass-Through Certificates,
Series 1996-A, 1996-B, 1996-C, 1996-D, 1997-A and 1997-B
<PAGE> 1
EXHIBIT 28.1
ANNUAL STATEMENT AS TO COMPLIANCE
The undersigned, Mark E. Elbaum, Senior Vice President - Finance of
Aames Capital Corporation (the "Servicer"), in its capacity as Servicer under
the following:
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-A, dated March 1, 1996
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-B, dated June 1, 1996
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-C, dated September 1, 1996
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1996-D, dated December 1, 1996
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1997-A, dated March 1, 1997
Pooling and Servicing Agreement with respect to Registrant's Mortgage
Pass-Through Certificates, Series 1997-B dated June 1, 1997 (collectively, the
"Pooling and Servicing Agreements"), does hereby certify pursuant to Section
3.10 of the Pooling and Servicing Agreements that as of the date given below:
(a) a review of the activities of the Servicer for the fiscal year
ended June 30, 1997 and of its performance under the Pooling and
Servicing Agreements has been made under my supervision, and
(b) to the best of my knowledge, based on such review, the Servicer
has fulfilled all of its material obligations under the Pooling
and Servicing Agreements throughout such year.
IN WITNESS WHEREOF, I have hereunto signed my name as of this 26th
day of September, 1997.
/s/ MARK E. ELBAUM
---------------
Mark E. Elbaum
Senior Vice President - Finance
<PAGE> 1
EXHIBIT 28.2
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors
of Aames Financial Corporation:
We have examined management's assertion about Aames Financial Corporation's
compliance with the minimum servicing standards identified in the Mortgage
Bankers Association of America's Uniform Single Attestation Program for Mortgage
Bankers (USAP) as of and for the year ended June 30, 1997 included in the
accompanying management assertion. Management is responsible for Aames Financial
Corporation's compliance with those minimum servicing standards. Our
responsibility is to express an opinion on management's assertion about the
entity's compliance based on our examination.
Our examination was made in accordance with standards established by the
American Institute of Certified Public Accountants and, accordingly, included
examining, on a test basis, evidence about Aames Financial Corporation's
compliance with the minimum servicing standards and performing such other
procedures as we considered necessary in the circumstances. We believe that our
examination provides a reasonable basis for our opinion. Our examination does
not provide a legal determination on Aames Financial Corporation's compliance
with the minimum servicing standards.
In our opinion, management's assertion that Aames Financial Corporation complied
with the aforementioned minimum servicing standards as of and for the year ended
June 30, 1997 is fairly stated, in all material respects.
/s/ Price Waterhouse LLP
Los Angeles, California
August 25, 1997
August 25, 1997
Price Waterhouse LLP
400 South Hope Street
Los Angeles, California 90071
Ladies and Gentlemen:
As of and for the fiscal year ended June 30, 1997, Aames Capital
Corporation has complied in all material respects with the minimum servicing
standards set forth in the Mortgage Bankers Association of America's Uniform
Single Attestation Program for Mortgage Bankers. As of and for this same
period, Aames Capital Corporation had in effect a fidelity bond in the amount of
$5 million and an errors and omissions policy in the amount of $20 million.
Sincerely,
AAMES CAPITAL CORPORATION
/s/ Cary H. Thompson /s/ David A. Sklar
- -------------------- ------------------
Cary H. Thompson David A. Sklar
Chief Executive Officer Executive Vice President-Finance and
Chief Financial Officer
/s/ Dan Relf /s/ Mark E. Elbaum
- ------------ -------------------
Dan Relf Mark E. Elbaum
Executive Vice President-Loan Services Senior Vice President-Finance
<PAGE> 1
Exhibit 28.3
Report for the Fiscal Year Ended June 30, 1997 Aggregating Certain Monthly
Information to Certificateholders dated September 26, 1997 with respect to
Registrant's Mortgage Pass-Through Certificates, Series 1996-A, 1996-B, 1996-C,
1996-D, 1997-A and 1997-B
I.A(i) The amount of such distribution allocable to principal
<TABLE>
<CAPTION>
Pool Series Amount Allocable to Principal
- ----------- -----------------------------
<S> <C>
1996-A $27,371,833.17 Group 1-Fixed Rate
36,053,135.09 Group 2-Adjustable Rate
1996-B 27,266,642.76 Group 1-Fixed Rate
64,983,819.95 Group 2-Adjustable Rate
1996-C 30,196,770.47 Group 1-Fixed Rate
87,682,046.30 Group 2-Adjustable Rate
1996-D 23,146,416.58 Group 1-Fixed Rate
35,692,513.50 Group 2-Adjustable Rate
1997-A 7,358,963.27 Fixed Rate
1997-B 443,043.43 Group 1-Fixed Rate
1,753,303.78 Group 2-Adjustable Rate
</TABLE>
I.A(ii) The amount of such distribution allocable to interest:
<TABLE>
<CAPTION>
Pool Series Amount allocable to interest
- ----------- ----------------------------
<S> <C>
1996-A $ 5,676,788.43 Group 1-Fixed Rate
4,716,856.18 Group 2-Adjustable Rate
1996-B 7,429,013.01 Group 1-Fixed Rate
8,947,131.47 Group 2-Adjustable Rate
1996-C 9,365,999.38 Group 1-Fixed Rate
15,521,852.26 Group 2-Adjustable Rate
1996-D 8,610,981.11 Group 1-Fixed Rate
11,065,475.47 Group 2-Adjustable Rate
1997-A 4,871,559.32 Fixed Rate
1997-B 1,540,987.33 Group 1-Fixed Rate
2,280,037.88 Group 2-Adjustable Rate
</TABLE>
<PAGE> 2
I.A(iii) The amount of such distribution allocable to any excess interest or
excess cash distribution in connection with any overcollateralization feature:
<TABLE>
<CAPTION>
Initial Balance
Pool Series Overcollateralization Increases 6/30/97
- ----------- --------------------- -------------- --------------
<S> <C> <C> <C>
1996-A $3,309,683.46 $ 5,440,316.54 $ 8,750,000.00
1996-B 3,671,692.97 11,549,949.03 15,221,642.00
1996-C 3,589,489.71 16,427,360.16 20,016,849.87
1996-D 4,771,708.08 12,400,484.94 17,172,193.02
1997-A 427,166.45 1,670,669.08 2,097,835.53
1997-B 1,638,971.84 -0- 1,638,971.84
</TABLE>
*I.A(iv) Total amount of any insured payment included in the amount distributed
<TABLE>
<CAPTION>
Pool Series Amount
- ----------- ------
<S> <C>
1996-A -0-
1996-B -0-
1996-C -0-
1996-D -0-
1997-A -0-
1997-B -0-
</TABLE>
I.A(iv) The amount of any fee paid in respect of credit enhancement for the
related collection period (represents amount held in Expense Account at Bankers
Trust at 6/30/97):
<TABLE>
<CAPTION>
Pool Series Amount
- ----------- ------
<S> <C>
1996-A -0-
1996-B -0-
1996-C -0-
1996-D -0-
1997-A -0-
1997-B -0-
</TABLE>
<PAGE> 3
I.A(v) The amount of unreimbursed monthly advances and/or servicing advances:
<TABLE>
<CAPTION>
Pool Series Amount
- ----------- ------
<S> <C>
1996-A $ 557,939.42
1996-B 908,544.88
1996-C 1,219,527.42
1996-D 1,293,187.61
1997-A 280,207.54
1997-B 1,723,050.28
</TABLE>
I.A(vi) The aggregate amount (a) otherwise allocable to the subordinated
Certificateholders on such distribution date, and (b) withdrawn from reserve
account, if any, that is included in the amounts distributed with respect to
senior certificates.
None.
I.A(vii) The aggregate outstanding principal balance of the Mortgage Loans in
the related pool or Mortgage Loan Group:
<TABLE>
<CAPTION>
Pool Series Principal Balance
- ----------- -----------------
<S> <C>
1996-A $ 71,766,861.94 Group 1-Fixed Rate
63,433,942.55 Group 2-Adjustable Rate
1996-B 95,772,935.82 Group 1-Fixed Rate
123,842,093.20 Group 2-Adjustable Rate
1996-C 150,284,369.91 Group 1-Fixed Rate
276,853,663.20 Group 2-Adjustable Rate
1996-D 224,594,442.07 Group 1-Fixed Rate
325,161,905.25 Group 2-Adjustable Rate
1997-A 209,738,872.26 Fixed Rate
1997-B 189,566,956.88 Group 1-Fixed Rate
308,246,696.66 Group 2-Adjustable Rate
</TABLE>
<PAGE> 4
I.A(viii) The number and aggregate principal balance of Mortgage Loans in the
related mortgage pool contractually delinquent (a) 30 to 59 days, (b) 60 to 89
days and (c) 90 days or more as of the end of the related collection period:
<TABLE>
<CAPTION>
30 to 59 60 to 89 90 or more
Pool Series days days days
- ----------- -------- -------- ----------
<S> <C> <C> <C>
1996-A
Group 1-Fixed Rate
Principal Balance $ 2,362,266.58 $ 500,003.87 $1,002,590.65
Number of loans 40 10 21
Group 2-Adjustable Rate
Principal Balance 3,075,204.89 819,998.35 2,924,605.80
Number of loans 27 9 33
1996-B
Group 1-Fixed Rate
Principal Balance $ 3,126,230.99 $ 755,538.74 $ 906,892.54
Number of loans 64 12 21
Group 2-Adjustable Rate
Principal Balance 5,585,015.16 1,489,781.74 3,012,166.00
Number of loans 60 18 34
1996-C
Group 1-Fixed Rate
Principal Balance 4,916,261.47 1,016,640.12 914,607.20
Number of loans 95 21 13
Group 2-Adjustable Rate
Principal Balance 9,396,165.16 3,279,960.47 3,041,894.90
Number of loans 114 38 33
1996-D
Group 1-Fixed Rate
Principal Balance 5,538,515.50 1,342,508.02 1,245,131.50
Number of loans 111 24 22
Group 2-Adjustable Rate
Principal Balance 10,936,004.93 3,337,507.88 1,911,823.30
Number of loans 132 42 25
</TABLE>
<PAGE> 5
<TABLE>
<S> <C> <C> <C>
1997-A
Principal Balance 4,919,015.40 1,535,737.79 1,185,334.34
Number of loans 82 26 14
1997-B
Group 1-Fixed Rate
Principal Balance 14,547,025.25 1,377,165.40 -0-
Number of loans 245 22 -0-
Group 2-Adjustable Rate
Principal Balance 39,532,848.01 18,718,531.72 85,794.80
Number of loans 409 135 2
</TABLE>
I.A(ix) The aggregate principal balances of Mortgage Loans in foreclosure or
other similar proceedings and the aggregate principal balances of Mortgage
Loans, the mortgagor of which is known by the Servicer to be in bankruptcy as of
the end of the period:
<TABLE>
<CAPTION>
Pool Series Loans in Foreclosure
- ----------- --------------------
<S> <C>
1996-A
Group 1-Fixed Rate
Principal Balance $ 7,824,484,92
Number of loans 114
Group 2-Adjustable Rate
Principal Balance 13,671,940.11
Number of loans 125
1996-B
Group 1-Fixed Rate
Principal Balance 11,403,385.67
Number of loans 169
Group 2-Adjustable Rate
Principal Balance 23,939,010.34
Number of loans 260
1996-C
Group 1-Fixed Rate
Principal Balance 9,611,780.97
Number of loans 158
Group 2-Adjustable Rate
Principal Balance 28,908,480.49
Number of loans 311
</TABLE>
<PAGE> 6
<TABLE>
<S> <C>
1996-D
Group 1-Fixed Rate
Principal Balance 10,271,141.27
Number of loans 182
Group 2-Adjustable Rate
Principal Balance 23,770,761.09
Number of loans 269
1997-A
Principal Balance 2,573,701.21
Number of loans 45
1997-B
Group 1-Fixed Rate
Principal Balance 154,942.57
Number of loans 2
Group 2-Adjustable Rate
Principal Balance 126,027.20
Number of loans 2
</TABLE>
I.A(x) The certificate principal balance of each Class of Certificates:
<TABLE>
<CAPTION>
Pool Series Certificate Principal Balance
- ----------- -----------------------------
<S> <C>
1996-A $ 68,016,861.94 Group 1-Fixed Rate
58,433,942.55 Group 2-Adjustable Rate
1996-B 91,571,701.82 Group 1-Fixed Rate
112,821,685.20 Group 2-Adjustable Rate
1996-C 144,803,229.54 Group 1-Fixed Rate
262,317,953.70 Group 1-Fixed Rate
1996-D 218,853,583.40 Group 1-Fixed Rate
313,730,570.90 Group 2-Adjustable Rate
1997-A 207,641,036.73 Fixed Rate
1997-B 189,566,956.57 Group 1-Fixed Rate
308,246,696.22 Group 2-Adjustable Rate
</TABLE>
